Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 13 (3D) | Oct 14 (4D) | Oct 15 (5D) | Oct 16 (6D) | Oct 17 (7D) | Oct 20 (10D) | Oct 21 (11D) | Oct 22 (12D) | Oct 23 (13D) | Oct 24 (14D) | Oct 31 (21D) | Nov 07 (28D) | Nov 14 (35D) | Nov 21 (42D) | Nov 28 (49D) | Dec 05 (56D) | Dec 12 (63D) | Dec 19 (70D) | Dec 26 (77D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 661.053 | 659.49 | 658.112 | 656.867 | 655.722 | 652.708 | 651.807 | 650.947 | 650.121 | 649.327 | 644.42 | 640.283 | 636.639 | 633.344 | 630.314 | 627.494 | 624.845 | 622.34 | 619.957 |
| upper | 681.267 | 682.83 | 684.208 | 685.453 | 686.598 | 689.612 | 690.513 | 691.373 | 692.199 | 692.993 | 697.90 | 702.037 | 705.681 | 708.976 | 712.006 | 714.826 | 717.475 | 719.98 | 722.363 |
| expected move | 10.107 | 11.67 | 13.048 | 14.293 | 15.438 | 18.452 | 19.353 | 20.213 | 21.039 | 21.833 | 26.74 | 30.877 | 34.521 | 37.816 | 40.846 | 43.666 | 46.315 | 48.82 | 51.203 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
